ARCH Models for Financial Applications

By Stavros Degiannakis *, Christos Floros. 2010

120 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6fc615fd44103bcbb19825afb6a8632187f8eada

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Citations in the corpus

Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013, unknown): “…evidence to support our model specification have been conducted, i.e. multivariate Q-statistic for residual serial correlation (Lütkepohl, 1991), testing for presence of ARCH effects in the residuals 9 ; see for example Hacker and Abdulnasser (2005), Tse (2002) and Xekalaki and Degiannakis (2010).”
GARCH Models (2010, unknown): “Moreover, the books by Gouriéroux (1997) and Xekalaki and Degiannakis (2009) are devoted to GARCH and several books devote a chapter to GARCH: Mills (1993), Hamilton (1994), Franses and van Dijk (2000), Gouriéroux and Jasiak (2001), Tsay (2002), Franke, Härdle and Hafner (2004), McNeil, Frey and…”
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016, methodology): “The specifications of Diag-BEKK parameters and equations have been obtained from Xekalaki and Degiannakis (2010) 8 .”
Oil price shocks and uncertainty: How stable is their relationship over time? (2018, methodology): “The APARCH model is considered as one of the best models for estimating conditional volatility (for technical details, please see Xekalaki and Degiannakis, 2010).”
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011, methodology): “For technical information about the estimation of the model you are referred to Xekalaki and Degiannakis (2010).”